Liquidity Black Holes: Understanding, Quantifying and Managing Financial Liquidity Risk

  • ID: 218983
  • Book
  • 450 Pages
  • Incisive Media
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This cutting-edge volume brings together a range of leading academics and market practitioners to help you define, understand and measure liquidity risk and "liquidity black holes"

- Fully explains "liquidity black holes" as episodes where, across markets where liquidity is normally healthy, buyers disappear, and price declines do not help to bring them back - such as in the recent "Long Term Capital Management crisis"

- Presents evidence that smaller liquidity holes are appearing more routinely in a range of markets

- Specifically written in order to help practitioners and policy makers identify and thus avoid markets prone to damaging liquidity black holes

- Additionally covers trends and issues in market liquidity, liquidity risk and disclosing positions, liquidity public policy, liquidity in relation to credit and currency markets, and many other issues

"This volume will do a great deal to improve market participants' understanding of the factors driving the liquidity, or the lack of it, in our markets."
Robert B. Gray, Chairman, International Primary Market Association

"This book gives the clearest explanation yet of the impact on markets of the volatility in liquidity and what happens to market dynamics when liquidity dries up."
Robert Parker, Vice Chairman, Credit Suisse Asset Management
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Foreword
William W. Martin, Invesco Asset Management

Liquidity Black Holes: An Introduction
Avinash Persaud, Global Asset Management and Gresham College

Section 1: The Background to Market Liquidity: Introduction

1. Liquidity in the Foreign Exchange Market: An Investment Manager's Perspective
Harriett M. Richmond and Jack Crawford, JPMorgan Fleming Asset Management

2. Liquidity in the Equity Market: A Portfolio Trader's Perspective
Sri Moorthy, Credit Suisse First Boston

3. Liquidity in the Fixed-Income Market and the Impact of EMU
Hannah Scobie, European Economics and Financial Centre

4. Liquidity from a Central Banker's Perspective
Roger Clews and David Rule, Bank of England

Section 2: Liquidity Black Holes

5. Liquidity Black Holes
Avinash Persaud, Global Asset Management and Gresham College

6. LTCM and the Asian Financial Crisis: Liquidity Black Holes
Stephen Spratt, University of Sussex

7. Measuring Liquidity Black Holes
Benjamin H. Cohen of International Monetary Fund and Hyun Song Shin of London School of Economics

8. Liquidity Black Holes: Testing Theory's Predictions
Chris McCoy, State Street Fellow and Surrey University

Section 3: Liquidity Black Holes and Institutional Behaviour

9. Liquidity and News
Hyun Song Shin, London School of Economics

10. Volatility in the Foreign Exchange Market and Disclosure of Central Bank Reserves
Michael Metcalfe, State Street Bank

11. Market Liquidity and Risk Management
Avinash Persaud, Global Asset Management and Gresham College

12. Financial System Liquidity and Credit Risk Transfers
Avinash Persaud, Global Asset Management and Gresham College
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